DBRS Rates Bocage Mortgages No 1 Ltd.

DBRS Ratings Limited (DBRS) has assigned final ratings to the Class A Notes issued by Bocage 1:

• Class A rated AA (low) (sf)

The Class B and Class C notes are not rated by DBRS.

The transaction is a securitization of Portuguese residential mortgage loans that originally closed in December 2008.
The ratings are based upon review by DBRS of the following analytical considerations:

• The transaction’s capital structure and the form and sufficiency of available credit enhancement.
• The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing and financial strength.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.
• In estimating the two year probability of default, DBRS used transaction level performance data from the previous 24 months as a proxy for defaulted loans.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Barclays Bank PLC, Portugal acts as servicer and the collection account bank. Citibank, N.A., London Branch, acts as account bank.

Credit enhancement for the notes is provided through subordination of the Class B (11.30%) and Class C (1.58%) notes for a total of 12.88%.

The transaction is further supported through a liquidity account, which was added to the transaction in February 2012. The liquidity account is funded by a Variable Funding Note, which provides up to €36 million of credit support. The amount currently available in this account is approximately €24 million. The liquidity account releases funds to the cash reserve account as required to bring the reserve to its target amount if excess spread is not sufficient to do so.

The transaction does not have hedging in place. The mortgage portfolio contains loans that are approximately 99.05% floating and funded off 3 month EURIBOR, 6 month EURIBOR and 0.95% that are fixed rates and index off of swap rates. The notes are indexed to 3 month EURIBOR.

The customer mortgage agreements also allow for permitted variations, which could include options to move from a floating to a fixed rate and also allows for a margin reduction of the interest rate. The transaction allows permitted variations for up to 25% of the original balance. The pool’s weighted average loan to value is approximately 66.5% and seasoning at 84 months.

In the cash flow analysis, DBRS assumed that a certain percentage of borrowers choose a fixed rate for the next 30 years. DBRS has also assumed the balance will be eligible to take a reduction to their current interest rate.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model for European Securitisations

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include investor reports and revised documents provided by the issuer.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

The final ratings concern existing financial instruments issued in the past.

This is the first DBRS rating on this financial instrument.

For additional information on this rating, please refer to the linking document.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.
Lead Analyst: Konstantine Pastras
Rating Committee Chair: Erin Stafford
Initial Rating Date: 30th May 2013